This paper considers the design problem of constant modulus sequence set which could be applied in multiple-input multiple-output (MIMO) radar and communication societies, to achieve desired correlation properties. An iteration algorithm based on iteration direct search is devised to minimize a new and general weighted integrated sidelobe level (WISL) accounting for both auto- and cross-correlation functions. At each iteration of the proposed algorithm, we sequentially optimize each code element of the sequence while fixing remained code elements; to this end, we split the multi-dimensional problem into multiple one-dimension problems with closed-form solutions for continues phase case and optimal solutions for finite phase case via one-dimensional search. In particular, the proposed algorithm directly optimizes the WISL without limitations on the weights filling the gap in the open literature and involves the FFT operation at each iteration ensuring the convergence speed. The numerical simulations validate the effectiveness of the proposed algorithm.